基于pair—copula的社保基金投资组合风险测度研究

摘要

社保基金是社会保障事业健康发展的基石，风险管理是社保基金保值增值的关键问题之一。提出了pair-copula—GARCH-EVT模型以测度社保基金投资组合风险，与传统的n维copula—GARCH-EVT模型相比，该模型不仅考虑了维数的影响，而且还能灵活地选择copula的类型。实证研究发现，基于pair-copula-GARCH-EVT的模型测度社保基金投资组合风险的准确性要高于传统的copula—GARCH—EVT模型。%Social insurance fund is the base of social insurance business＇s development. Risk management is one of keys to the value preservation and increment of social insurance fund. The model of pair-eopula-GARCH-EVT is put forward in order to measure the risk of social insurance fund portfolio in this paper. Compared with traditional multivariable copula-GARCH- EVT model, the model of pair-copula-GARCI-I-EVT can consider the influence of dimensions, and can select the type of copula flexibly. The empirical research shows that the pair-copula-GARCH-EVT is more accurate than copula-GARCH-EVT model in the aspect of measuring the risk of social insurance fund portfolio.